Robust consumption and portfolio choice for time varying investment opportunities
نویسندگان
چکیده
منابع مشابه
Robust Consumption and Portfolio Choice for Time Varying Investment Opportunities
This paper examines a continuous-time intertemporal consumption and portfolio choice problem for an investor with recursive preferences. The investor worries about model misspecification and seeks robust decision rules. The expected excess return of a risky asset follows a mean-reverting process. I find that whether the concern about model misspecification decreases the total demand for equitie...
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ژورنال
عنوان ژورنال: Annals of Finance
سال: 2010
ISSN: 1614-2446,1614-2454
DOI: 10.1007/s10436-010-0164-4